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Journal of Statistical Computation and Simulation Volume 79, 2009 - Issue 3
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Original Articles

Calculating the autocovariances and the likelihood for periodic V ARMA models

Abdelhakim Aknouche Faculty of Mathematics, University of Sciences and Technology Houari Boumediene, Algiers, AlgeriaCorrespondence[email protected]
&
Fayçal Hamdi Faculty of Mathematics, University of Sciences and Technology Houari Boumediene, Algiers, Algeria
Pages 227-239 | Received 04 Nov 2006, Published online: 25 Feb 2009

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Nadia Boussaha & Fayçal Hamdi. (2018) On periodic autoregressive stochastic volatility models: structure and estimation. Journal of Statistical Computation and Simulation 88:9, pages 1637-1668.
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Hafida Guerbyenne & Fayçal Hamdi. (2015) Bootstrapping Periodic State-Space Models. Communications in Statistics - Simulation and Computation 44:2, pages 374-401.
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Fayçal Hamdi. (2012) Computing the Exact Fisher Information Matrix of Periodic State-Space Models. Communications in Statistics - Theory and Methods 41:22, pages 4182-4199.
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